Timboli: JPG is of course a very common format.
How common it is isn't relevant, though. It was one example among many. You will have a hard time finding any data format that has incompatibilities between different operating systems.
The only one I can think of offhand, as already mentioned, are text files, where Windows uses \r\n for line breaks whereas macOS and Linux use \n. However, that's convention and not something strictly enforced by the OS. If your game uses text files for saves and you program it to specifically use only \n for line breaks, it will work fine on Windows. Just be aware that users might load the files into Windows text editors which will usually convert \n to \r\n when re-saving.
I have no idea how common a save file format between games is or whether each game has its own particular structure.
Generally they all have their own structure. Occasionally it's something like XML but usually some custom binary stuff. As I said, data is data. There's nothing magic about writing a file with a particular operating system that makes an arbitrary series of bytes somehow not compatible with another operating system.
And while in theory, as you say, it would be extra work to do different data files for different OS, the OS versions of a game are different, so why not save files ...
But the question is why, not why not. The differences when porting a game are things like graphics/sound API code, not any of the game logic, which includes save files. Introducing OS-specific changes in game logic for no reason sounds like a fantastic way of creating bugs and unnecessary problems.
In case it wasn't clear, I'm not speaking hypothetically about this; I've occasionally shuffled save files between different OS versions. To be fair, your concern would be more valid in the days of porting between different CPU types where e.g. PPC was big-endian and X86 was little endian; that could and did cause headaches, since data could be fundamentally stored and used differently. However basically everything is little-endian these days, including Arm chips typically used in phones and Apple's new M-series chips.